Crude oil options volatility advanced with the underlying futures as U.S. lawmakers planned to resume budget talks to avert spending cuts and tax gains that threaten to weaken the economy.
Implied volatility for at-the-money options expiring in February, a measure of expected price swings in futures and a gauge of options price, was 25.46 percent at 3:15 p.m. on the New York Mercantile Exchange, up from 24.95 on Dec. 24.
Crude oil for February delivery rose $2.37 to $90.98 on the New York Mercantile Exchange, the highest settlement since Oct. 18. Futures gained after the White House said President Barack Obama would to leave for Washington today from his Christmas vacation in Hawaii. Congress also returns to Washington tomorrow to discuss how to avoid more than $600 billion in tax gains and spending cuts scheduled for January.
Failure to reach an agreement may push the U.S. into recession in the first half of 2013, the nonpartisan Congressional Budget Office said.
The most active options in electronic trading today were February $95 calls, which rose 39 cents to 73 cents a barrel at 2:57 p.m. on volume of 1,523 contracts. The second-most active, with 1,315 lots exchanged, were February $100 calls, up 7 cents at 17 cents a barrel.
Bets that prices would fall, or puts, accounted for 52 percent of electronic trading volume.
The exchange distributes real-time data for electronic trading and releases information the next business day on open- outcry volume, where the bulk of options activity occurs. deteriorating. There was no floor or electronic trading yesterday because of the Christmas holiday.
In the previous session, bets that prices would rise accounted for 54 percent of volume.
March $150 calls, which were unchanged at 1 cent a barrel, were the most active options, with 1,986 contracts trading. June $100 calls fell 5 cents to $2.69 a barrel on 1,575 lots.
Open interest was highest for February $105 calls with 36,014 contracts. Next were March $70 puts at 25,894 lots and February $100 calls with 25,816.
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